I quite like this idea. I was thinking about this today. You know how bands connect songs and tell stories from album to album to make one story or recurring theme. It's a nice touch instead of whole concept albums which sometimes can get drawn out. Here's some examples I can think of from the top of my head;
Dream Theater - 12 Step Suite
Metallica - Unforgiven 1, 2 and 3
Sonata Arctica - End of This Chapter, Don't Say a Word, Caleb
Rush - Fear - The Enemy Within, The Weapon, Witch Hunt, Freeze
Iron Maiden - Charlotte the Harlot, 22 Acacia Avenue, Hooks in You, From Here to Eternity
Anyone else have any of these type of things? I'm sure there's heaps of prog ones I have no idea about.